Modeling Exchange rate -interest rate differential nexus in BRICS: The role asymmetry and structural breaks

• Zainab Sani ^[2] ; Afees Adebare Salisu ^{[1] [1]} ; Eucharia Onyia ^[2] ; Onyebuchi Anih ^[2] ; Lawrence Kanu ^[2]
  1. [1] Ton Duc Thang University

     Ton Duc Thang University

     Vietnam

     
  2. [2] Research Department, Central Bank of Nigeria, Nigeria
• Localización: Economics and Business Letters, ISSN-e 2254-4380, Vol. 9, Nº. 2, 2020, págs. 73-83
• Idioma: español
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• Resumen

  • This paper validates, with a linear model, the theoretical construction that specifies negative relationship between interest rate differential and exchange rate in the BRICS countries. Further probe with a nonlinear model reveals that exchange rate responds asymmetrically to interest rate differential in the countries. In all, we show that accounting for asymmetry and structural breaks enhance the relationship.